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On combining evidence from heteroskedasticity robust panel unit root tests in pooled regressions
Arnold, Martin C.; Hanck, Christoph - In: Journal of risk and financial management : JRFM 12 (2019) 3/117, pp. 1-22
reinvestigates whether there is a unit root in OECD inflation rates. We find evidence that inflation is stationary for long …
Persistent link: https://www.econbiz.de/10012027060
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Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation
Hanck, Christoph - Volkswirtschaftliche Fakultät, … - 2008
This paper proposes a new testing approach for panel unit roots that is, unlike previously suggested tests, robust to nonstationarity in the volatility process of the innovations of the time series in the panel. Nonstationarity volatility arises for instance when there are structural breaks in...
Persistent link: https://www.econbiz.de/10005787059
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Nonstationary-volatility robust panel unit root tests and the great moderation
Hanck, Christoph; Czudaj, Robert - 2013
stationarity, and mixed evidence regarding inflation stationarity. …
Persistent link: https://www.econbiz.de/10009779045
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Nonstationary-volatility robust panel unit root tests and the great moderation : conference paper
Hanck, Christoph; Czudaj, Robert - 2013
developed here to test for unit roots in OECD panels of gross domestic products and inflation rates, yielding inference robust … to the `Great Moderation.' We find little evidence of trend stationarity, and mixed evidence regarding inflation …
Persistent link: https://www.econbiz.de/10010343777
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Regional inflation convergence in Turkey
Duran, Hasan Engin - 2015
The aim of the present article is to analyze the convergence of regional inflation rates in Turkey from 2004 to 2015 by … adopting a distribution dynamics approach, namely discrete time Markovian chains. Convergence across regional inflation rates … is politically a crucial matter for two reasons. First, if inflation rates differ largely between regions, monetary …
Persistent link: https://www.econbiz.de/10011284224
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Heteroskedasticity-robust unit root testing for trending panels
Herwartz, Helmut; Maxand, Simone; Walle, Yabibal M. - 2017
Standard panel unit root tests (PURTs) are not robust to breaks in innovation variances. Consequently, recent papers have proposed PURTs that are pivotal in the presence of volatility shifts. The applicability of these tests, however, has been restricted to cases where the data contains only an...
Persistent link: https://www.econbiz.de/10011665921
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Unit Root Testing in Heteroskedastic Panels using the Cauchy Estimator
Demetrescu, Matei; Hanck, Christoph - 2010
The so-called Cauchy estimator uses the sign as instrument for the first lag in autoregressions, and the resulting t-type statistic has a standard normal distribution even in the unit root case. Thus, nonstandard asymptotics of the usual unit root tests such as the augmented Dickey-Fuller [ADF]...
Persistent link: https://www.econbiz.de/10010270299
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Nonstationary-Volatility Robust Panel Unit Root Tests and the Great Moderation
Hanck, Christoph; Czudaj, Robert - 2013
stationarity, and mixed evidence regarding inflation stationarity. …
Persistent link: https://www.econbiz.de/10010318440
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Lag length selection for unit root tests in the presence of nonstationary volatility
Cavaliere, Giuseppe; Phillips, Peter C. B.; Smeekes, Stephan - In: Econometric reviews 34 (2015) 1/5, pp. 512-536
Persistent link: https://www.econbiz.de/10011373261
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A parsimonious test of constancy of a positive definite correlation matrix in a multivariate time-varying GARCH model
Kang, Jian; Jakobsen, Johan Stax; Silvennoinen, Annastiina - 2022
Persistent link: https://www.econbiz.de/10012816369